Hasanuddin Economics and Business Review
Vol 1 No 1, June 2017

Effects of accounting information on excess return using Fama and French three-factor model in order to examine capital market reaction due to dividend announcement

Diaraya Diaraya (Hasanuddin University)
Gagaring Pagalung (Unknown)
Abdul Hamid Habbe (Hasanuddin University)
Ratna Ayu Damayanti (Hasanuddin University)

Article Info

Publish Date
22 Aug 2017

Abstract

This paper discussed the effects of accounting information on the excess return of shari’ah stocks and conventional stocks using Fama and French Three Factor Model, and examined the reaction of the capital markets as a result of the dividend announcement. The results and data analysis had yielded 8 stock portfolios. It can be concluded that the AER variable movements had an immediate reaction to the movement, meaning that the dividend announcement brought the content of the information to the capital markets or it can be said that the Indonesian capital market conditions have started heading to a semi-strong form.

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Journal Info
Hasanuddin Economics and Business Review
Website

Abbrev

hebr

Publisher

Universitas Hasanuddin

Subject

Economics, Econometrics & Finance

Description

Hasanuddin Economics and Business Review (HEBR) is an international triannual open access and peer reviewed journal of economics and business. HEBR is published by Faculty of Economics and Business Hasanuddin University. The journal is published in both print and online ...